Hurst function estimation

DOI10.1214/19-AOS1825zbMath1453.62433OpenAlexW3032607678MaRDI QIDQ2196195

Jinqi Shen, Tailen Hsing

Publication date: 28 August 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1590480036

zbMATH Keywords

multifractional Brownian motioninfill asymptoticsnonparametric estimationminimax rate

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22)

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